They are the only thing I've found that works. I use one at my bait stations now I can hunt and not spend all my time slapping 'skeeters. The only drawbacks I've found is the cost of the refill kits and you can't take the fuel cylinders on commercial airlines.
You wanna talk mosquitoes...try Alaska. But when I put a Thermacell under my seat on my bear stand, pretty soon there don't seem to be any mosquitoes anymore. The first time I experienced it I didn't really appreciate it until I got out of the stand and found myself in a cloud. They're awesome -- best product ever. Even if you're bathed in DEET, the skeeters will still buzz around you. The Thermacell puts a bubble around you, so that you're not only not getting bit, but you're not getting buzzed, either.
Hands down the best thing out there right now. I was skeptical but the first time I used it I thought all the skeeters were jsut somewhere else but it only took about 5 minutes for them to find me after I shut it off. Totally worth the money!
Try to put your tree stand in a tree with plenty of background cover, keep the prevailing winds for that time of the year to your face, and take care of those pesky squeaks and creaks your stand may have developed while sitting in the shed. A good treestand lube can be made by heating petroleum jelly until it reaches a liquid form. Some hunters have reported success by including a cover scent in this mixture before applying it to their stands.